| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062160 | Economics Letters | 2007 | 7 Pages |
Abstract
The recent international economics literature suggests that market microstructure effects matter for exchange rate determination and forecasting. This paper investigates performance robustness of the pure microstructure Canada/U.S. dollar exchange rate model. It is found that, when used for forecasting, this microstructure model is very sensitive to the choice of time period and forecasting horizon.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nikola Gradojevic,